SEACEN – CBSL
Online Course on
Forecasting for
Monetary Policy and
Financial Stability
20 – 24 JULY 2020
12:00 – 18:00 (Kuala Lumpur Time)
09:30 – 15:30 (Colombo Time)
ONLINE
WWW.SEACEN.ORG
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The Online Course
INTRODUCTION/OBJECTIVES
Forecasting is a crucial part of central banks not only from a monetary
stability perspective but also from the perspectives of financial stability,
liquidity policy and cash management perspectives. Regardless of the
end objective, all central banks/monetary authorities must forecast
several macroeconomic, financial and prudential variables to make a
timely assessment of the economy. In this course, we will combine
lectures on forecasting theory with hands-on computer-based
illustrations to key macroeconomic variables. External presenters will
be Massimiliano Marcellino from Bocconi University in Milan, and
Romain Lafarguette and Changchun Wang from the IMF.
At the end of the course, participants will be able to: (1) identify the best
forecasting models for macroeconomic, financial and prudential
variables; (2) gain experience in forecasting with univariate and
multivariate models; (3) be able to perform nowcasts as well as mixed-
frequency forecasting; (4) generate fan charts to convey forecast
uncertainty; (5) combine forecasts; and (6) evaluate forecasting
accuracy and other forecast performance measures.
The Course Programme is shown from pages 4 to 6.
TARGET PARTICIPANTS
Economists working in the monetary policy, financial stability, liquidity
policy and research departments of central banks who are interested in
learning about cutting edge statistical and econometric methods that
can be used in nowcasting, forecasting, and scenario analysis. In
addition to producing forecasts how to interpret and communicate
forecasts will also be covered.
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SOFTWARE REQUIREMENTS
Participants will need a laptop or a desktop computer. Participants will
also need Eviews for most of the empirical illustrations. Some of the
Eviews exercises would require the most recent versions of the Eviews
as the earlier versions might not be handle certain functionalities.
Ideally you have the Eviews version 11, if not versions 9.5 or above.
For the Empirical Illustration in Session 13 the participants need to
follow the instructions attached and download the IMF’ GaR Toolbox,
which is an Excel interfaced Python program. The guideline provided by
the IMF. Click Here: GaR Toolbox
If you require any clarification about the software requirements please
contact Mr. Ozer Karagedikli at [email protected] or Dr. Ole Rummel at
Only participants who complete 80% of the sessions will receive a
certificate of completion.
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Course Agenda
Day 1, Monday 20 July
09.30 – 11.00 (C) * Session 1
12.00 – 13.30 (KL)* An Overview of Macroeconomic Forecasting
Özer Karagedikli, The SEACEN Centre
12.00 – 13.30 (C) Session 2 14.30 – 16.00 (KL) Forecasting with MIDAS Massimiliano Marcellino, Bocconi University
14.00 – 15.30 (C) Session 3 16.30 – 18.00 (KL) Empirical Illustration - MIDAS Massimiliano Marcellino, Bocconi University
Day 2, Tuesday 21 July
09.30 – 11.00 (C) Session 4
12.00 – 13.30 (KL) Forecasting with VARs and BVARs Victor Pontines, The SEACEN Centre
12.00 – 13.30 (C) Session 5 14.30 – 16.00 (KL) Forecasting - Dynamic Factor Models Massimiliano Marcellino, Bocconi University
14.00 – 15.30 (C) Session 6 16.30 – 18.00 (KL) Empirical Illustration - Dynamic Factor
Models Massimiliano Marcellino, Bocconi University
(*) C and KL refer to the times in Colombo and Kuala Lumpur,
respectively.
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Day 3, Wednesday 22 July
09.30 – 11.00 (C) Session 7
12.00 – 13.30 (KL) Empirical Illustration - VARs and BVARs Victor Pontines, The SEACEN Centre
12.00 – 13.30 (C) Session 8 14.30 – 16.00 (KL) Forecasting - Mixed Frequency VARs Özer Karagedikli, The SEACEN Centre
14.00 – 15.30 (C) Session 9 16.30 – 18.00 (KL) Empirical Illustration - Mixed Frequency VARs Özer Karagedikli, The SEACEN Centre
Day 4, Thursday 23 July
09.30 – 11.00 (C) Session 10
12.00 – 13.30 (KL) Forecasting Tails - Quantile Regressions Romain Lafarguette, IMF
Changchun Wang, IMF
12.00 – 13.30 (C) Session 11 14.30 – 16.00 (KL) Forecasting in the Presence of Breaks
Ole Rummel, The SEACEN Centre
14.00 – 15.30 (C) Session 12 16.30 – 18.00 (KL) Empirical Illustration - Forecasting in the
Presence of Breaks Ole Rummel, The SEACEN Centre
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Day 5, Friday 24 July
09.30 – 11.00 (C) Session 13
12.00 – 13.30 (KL) Empirical Illustration - Quantile Regressions Romain Lafarguette, IMF
Changchun Wang, IMF
12.00 – 13.30 (C) Session 14 14.30 – 16.00 (KL) Density Forecasting and Fancharts
Ole Rummel, The SEACEN Centre
14.00 – 15.30 (C) Session 15 16.30 – 18.00 (KL) Forecast Averaging and Combination Özer Karagedikli, The SEACEN Centre
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Guest Speakers
Professor Massimiliano Marcellino Bocconi University
Massimiliano is a household name for macro forecasters,
macroeconomists and central bankers. His research interests include
econometrics, applied macroeconomics, and analysis of historical
series. He has made significant contributions to the field of applied
macroeconomics, macro econometrics and econometrics as well as
forecasting. He has published in top journals including Journal of
Business & Economic Statistics, Journal of Applied Econometrics,
Journal of the Royal Statistical Society, Journal of Econometrics,
European Economic Review and Econometrics Journal.
Professor Marcellino is a research fellow at the Centre for Economic
Policy Research (CEPR) and at IGIER-Innocenzo Gasparini Institute for
Economic Research. Previously he was an Associate Professor of
Econometrics at Università Bocconi and Professor at the European
University Institute in Florence. He has been visiting fellows at
University of California San Diego and Harvard University.
Massimiliano is also a member of the Euro Area Business Cycle
Network. Professor Marcellino holds a BA in Economic and Social
Sciences from Università Bocconi, and a PhD in Economics from the
European University Institute in Florence.
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Dr. Romain Lafarguette Economist
Monetary and Capital Markets Department
International Monetary Fund
Romain Lafarguette is an economist in the Monetary and Capital
Markets Department of the International Monetary Fund, where he
works on issues related to central banking and statistical modeling.
He carried IMF missions to China, Hong Kong, India, Malaysia, the
Philippines, Singapore, Israel, Morocco, the Democratic Republic of
Congo, Albania, and Peru. He covered a wide range of topics, including
technical assistance, Financial Sector Assessment Program (FSAP), IMF
Article IV, and IMF program negotiations. He has also been teaching
forecasting methods both at the Fund and outside.
Before joining the Fund, he was an economist at the European Central
Bank. Among other assignments at the ECB, he has worked for the
Directorate General Market Operations, where he built the Chinese
RMB portfolio of the Eurosystem FX reserves and participated in the
implementation of the ECB Quantitative Easing Program.
Romain Lafarguette holds a Ph.D. in financial economics from Peking
University (CCER) and Paris School of Economics and graduated in
applied mathematics and statistics from ENSAE and the Ecole Normale
Superieure Paris-Saclay (ENS).
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Dr. Changchun Wang Econometric Modeler
International Monetary Fund
Dr. Changchun Wang is an econometric modeller in the IMF. He hold
a Ph.D. in Maths from Texas A&M University. Before join IMF, he
worked as data scientist at CGG, a service company in oil industry.
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SEACEN Speakers
Mr. Özer Karagedikli Senior Economist
Macroeconomics and Monetary Policy
Management
The SEACEN Centre
Özer joined The SEACEN Centre in January 2019 after 17 years in
central banking. He worked as an economic adviser in the research,
modelling, and forecasting teams at the Reserve Bank of New Zealand
(RBNZ). He also had a stint at the Bank of England’s International
Economic Analysis Division between 2008 and 2009. In addition to his
role as an adviser at the RBNZ, he served as the secretary to the
Monetary Policy Committee in 2003-2004, managed the External
Research Network Initiative, and served as the editor of the RBNZ
Discussion Paper Series.
He also served as a council member of the New Zealand Association
of Economists, a standing committee member of the Australasian
Branch of Econometrics Society, an associate editor for the Journal of
Economic Surveys, and as a board member for the Orchestra
Wellington. He organised/co-organised several conferences,
workshops, courses and conference sessions, as well as policy
meetings. In 2014 he co-edited the special issue of the International
Journal of Central Banking with John Williams and Gunes Kamber. In
2017, he spent a semester as a visitor at Bilkent University in Ankara.
He completed his studies at Victoria University of Wellington in New
Zealand. Özer’s research interests are in the area of macroeconomics,
monetary economics, forecasting, international linkages, housing and
labour markets. His latest work includes forecast combinations for
asymmetrically distributed variables, the effects of different types of
forward guidance, housing supply and population growth, the role of
job-to-job transitions and wage growth, and the role of different types
of credit.
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Dr. Victor Pontines
Senior Economist
Macroeconomics and Monetary Policy
Management
The SEACEN Centre
Dr. Victor Pontines joined the SEACEN Centre as Senior Economist on
August 2016. Previous to this, he was Research Fellow at the Asian
Development Bank Institute (ADBI) in Tokyo where he led the
Institute’s research programs in macroeconomics and finance, and as
Senior Economist at the Asian Development Bank (ADB) in Manila
where he served as focal point for the Bank’s work on debt
sustainability and graduation issues.
He was also in academia for a number of years, having taught at
universities in Manila, Philippines as well as in Australia. For a time,
he also worked at the Department of Economic Research of the
Bangko Sentral ng Pilipinas (Central Bank of the Philippines).
He has built a portfolio of publications in scholarly journals that focus
on macroeconomic and monetary policy issues with particular
reference to the East Asian region. He obtained a Bachelor of Arts (BA)
in Economics degree and a Master of Science (MSc) degree in
Economics from De La Salle University in Manila, Philippines, a Master
of Arts (MA) degree from University of Exeter, United Kingdom and a
Doctorate in Economics from University of Adelaide in Australia.
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Dr. Ole Jens Rummel Director
Macroeconomics and Monetary Policy
Management
The SEACEN Centre
Dr. Ole Rummel joined The SEACEN Centre as Director of
Macroeconomic and Monetary Policy Management in September
2016. From 1999 to 2006, he worked in the Financial Stability,
Markets, and Monetary Analysis areas of the Bank of England. In 2006,
Ole joined the Bank of England's Centre for Central Banking Studies
and was its Adviser for econometric modelling, financial stability, and
markets. Prior to the Bank of England, he worked in investment
banking in Frankfurt and for the European Commission in
Luxembourg.
He is interested in many aspects of economics and finance,
particularly econometric modelling, open-economy macroeconomics,
financial stability, and financial markets. Ole holds a PhD in Economics
from the University of Strathclyde in Glasgow and an AB degree in
Quantitative Economics from Stanford University.
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